Testing exogeneity in nonparametric instrumental variables models identified by conditional quantile restrictions
条件分位数限制识别的非参数工具变量模型中的外生性检验
Summary This paper presents a test for exogeneity of explanatory variables in a nonparametric instrumental variables (IV) model whose structural function is identified through a conditional quantile restriction. Quantile regression models are increasingly important in applied econometrics. As with mean-regression models, an erroneous assumption that the explanatory variables in a quantile regression model are exogenous can lead to highly misleading results. In addition, a…